Risk optimization with p-order conic constraints: A linear programming approach

@article{Krokhmal2010RiskOW,
  title={Risk optimization with p-order conic constraints: A linear programming approach},
  author={Pavlo A. Krokhmal and Policarpio Soberanis},
  journal={European Journal of Operational Research},
  year={2010},
  volume={201},
  pages={653-671}
}
The paper considers solving of linear programming problems with p-order conic constraints that are related to a certain class of stochastic optimization models with risk objective or constraints. The proposed approach is based on construction of polyhedral approximations for p-order cones, and then invoking a Benders decomposition scheme that allows for efficient solving of the approximating problems. The conducted case study of portfolio optimization with p-order conic constraints demonstrates… CONTINUE READING

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Introduction to Stochastic Programming

  • J. R. Birge, F. Louveaux
  • 1997
Highly Influential
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